WRDS (Wharton Research Data Services)

• May 2, 2024. Daily TAQ (Milliseconds) 2007 dataset is now available in WRDS. The NYSE Trade and Quote (TAQ) database offers tick-by-tick trade and quote data of all activity within the U.S. National Market System. TAQ provides transaction information at the intraday level (to the microsecond) covering over 10,000 stock issues listed on 16 major American exchanges, including the New York Stock Exchange (NYSE), American Stock Exchange (AMEX), and Nasdaq. 

Wharton Research Data Services (WRDS) is an online data platform that specializes in company financials (financial statements, audit and regulatory filings, banks, segments / industry data, compensation, intellectual property), financial markets, prices, and returns (stock prices, analyst estimates, bonds and fixed income, mutual fund / hedge fund, ETF returns, derivatives / options, REITs, currency exchange rates), ownership, mergers and acquisitions, sustainability/ESG, economics, marketing, news, and healthcare.

WRDS' strengths include:

• Historical data with a variety of output formats
• A shared web interface and retrieval process for all datasets
• A linking suite to combine data from different vendors
• The ability to query the data from statistical software (SAS, R, STATA, Python, MATLAB, and PostgreSQL)
• WRDS Cloud, a high-performance research computing center that you can access via an SSH connection

WRDS is primarily intended for use by NYU professors and PhDs conducting academic research or teaching courses with assignments that require the analysis of WRDS data.

Are you a returning user and don't need an access / registration primer? Click here to log in to WRDS.